Grace Goodhue Coolidge learned to knit a a young girl and it was a skill that kept her busy for her entire life. The caption under the photo reads, “The wife of the Vice-President of the United States is an expert needlewoman and her fingers are rarely idle. At the Republican State Convention held in Boston, last September, many interested glances followed the eyes of the Governor of Massachusetts as he looked frequently from his seat on the stage toward a quiet corner in the gallery where sat his wife, a most attentive listener, while her knitting needles flew. Knitting in public is not a pose with her for it has been her custom for years to fill all odd minutes with this work. She learned to use the needles when a little girl and has perfected herself in the art by always knitting winter stockings for her boys. Consequently her personal friends regard this photograph as very characteristic.”
Below is what appears to be a staged photo, perhaps taken in the White House. 
And for an added thrill, google “First Lady Grace Coolidge shops in New York and knits in the White House in Washington DC” and check out the silent motion picture footage of the First Lady knitting (and smiling and laughing).
She enjoyed knitting and crocheting. When she and the President were summering in the Black Hills of South Dakota, she would knit while he fished. Her knitting bag was always close at hand. In her later years, she would listen to her beloved baseball games on the radio and knit.
